I should not have used the word 'discretionary' in my previous post. My bad. I am a systematic manual intra-day trader. I have a statistical edge in what I trade intra-day -- that data is 'scientific' enough to me! The 'discretion' comes in me deploying the strategy not in the strategy itself ... don't want to go into anymore details here. Yes, I don't have a completely mechanical system. I don't care if a system is completely mechanical or not as long as the system has a statistical edge. Again, just because you haven't found one (i.e. trend following system) does not mean they don't exist. Look around there are examples. No one will give you their 'edge' in order to prove to you that their trend-following system works. You will have to do that work yourself. BTW, there have been so many papers cited in these forums on Momentum trading. Why not pick one for a mechanical 'scientifically' proven strategy? Cliff Asness still runs his fund using momentum strategies that are 'scientifically' proven. There are also academic work done on intra-day momentum strategies. Look them up and find a way to make them work for you if you are really interested. I hope that is 'short-term' enough for you. Once again, the way you define 'trend' (or 'momentum') could, in by-itself', be an 'edge'. Regards, Monoid.
To the best of my knowledge right now, Fama's definition of is momentum is different than yours and the typical TA user. Do you know exactly what Fama defines as momentum? Surf
@Pasternak: If you have any follow up questions to my earlier post, I will respond. Otherwise, I am done with this thread. Thank you all for your time and @marketsurfer for your entertainment. Regards, Monoid.
Man are you weak. You can't even defend your parroted ideas. one of two conclusions can be drawn from your post 1. You have no clue how Fama defines momentum nor any way of finding out 2. You know how he defines momentum but that definition does not support your ideas Which one is it? . surf
Why do you insist on trading momentum on shorter time periods? I use 6-12 month time frames on my signals and I can't believe you can't find anything worthwhile. Academia is full of working momentum based systems that you can backtest mechanically. Heck there is R code readily available to test many of them on certain blogs for those who know how to use google.
Hi, no more questions from me, fellow traders. The reason I insist on shorter time frames is that I want to turn my capital many times because I have found some good strategies. They simply make more money than longer term things like 6-12 months. I suggest we stop here, at least I will Back to trading now.